Robustness of the Rescaled Range R/S in the Measurement of Noncyclic Long Run Statistical Dependence

Mandelbrot, B. B., & Wallis, J. R. (1969). Robustness of the Rescaled Range R/S in the Measurement of Noncyclic Long Run Statistical Dependence. Water Resources Research, 967-988.

Type

Journal article

Intellectual base

Primary research

Year

1969

DOI

10.1029/wr005i005p00967

Link

https://doi.org/10.1029/WR005i005p00967

Cited by

1 citation across 1 artifact.

Domain-specific

• Hurst Exponent
  • … problem of storage required to regulate a stream whose annual flow departs persistently from its mean. Mandelbrot and Wallis subsequently developed rescaled range as a diagnostic for noncyclic long-run dependence, while Mandelbrot and Van Ness made $H$ the self-similarity parameter of fractional Brownian motion.

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Registry ID ref:1eae301d3448 · see in the full table